Immunize the portfolio against changes in interest rates

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A portfolio manager has a bond portfolio of $20 million. The duration of the portfolio is 6.28 years. The front month T-bond futures price is currently at 99-18. The cheapest-to-deliver bond has a duration of 6.85 years. How should the portfolio manager immunize the portfolio against changes in interest rates in the near term? Please indicate the number of contracts long or short.

Reference no: EM132689392

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